Attaining Mean Square Boundedness of a Marginally Stable Stochastic Linear System With a Bounded Control Input

Author

Ramponi, Federico ; Chatterjee, Debasish ; Milias-Argeitis, Andreas ; Hokayem, Peter ; Lygeros, John

Author_Institution

Autom. Control Lab., ETH Zurich, Zürich, Switzerland

Volume

55

Issue

10

fYear

2010

Firstpage

2414

Lastpage

2418

Abstract

We construct control policies that ensure bounded variance of a noisy marginally stable linear system in closed-loop. It is assumed that the noise sequence is a mutually independent sequence of random vectors, enters the dynamics affinely, and has bounded fourth moment. The magnitude of the control is required to be of the order of the first moment of the noise, and the policies we obtain are simple and computable.

Keywords

closed loop systems; linear systems; mean square error methods; stability; stochastic systems; bounded control input; closed loop system; control policy; mean square boundedness; mutually independent sequence; noise sequence; noisy marginally stable stochastic linear system; random vector; Additive noise; Algorithm design and analysis; Automatic control; Control systems; Gain; Linear feedback control systems; Linear systems; Stochastic resonance; Stochastic systems; Vectors; Bounded controls; linear systems; stochastic stability;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/TAC.2010.2054850

Filename

5497091